Coherence between Cryptocurrency and Gold Markets: Pre and During the Pandemic Period

This study explores the co-movement of the cryptocurrency market returns across four cryptocurrencies indices (Bitcoin,Ethereum,Litecoin, and Ripple) and gold market return by employing daily data for all five indices end on June 15, 2021, and start on August 17, 2015. We focus on the interdependence among returns of cryptocurrencies and gold pre and during the Covid-19 pandemic period. We use continuous wavelet analysis which type of wavelet method, as the best approach for the non-stationary time series, is clarified into various frequency bands, which are disconnected into segments in the time domain. Our choice of variables is based on the economic theory and appropriate to the problem statement and objectives through which we seek the solutions to the economic problems. Wavelet coherence results indicated a relatively high degree of co-movement among cryptocurrencies returns. However, co-movement between cryptocurrencies and gold market returns showed a low correlation over the sample time period. It means, thus indicating not giving opportunity for portfolio diversification among cryptocurrency markets during the covid-19 pandemic period. Our results should be of great interest to both scholars and policymakers, as well as investment professionals interested in the financial implications of both COVID-19 and cryptocurrencies.